{
  "annotation_id": "7569f569-8867-4fa1-bec1-929a19af556a",
  "date_created": "2026-03-02T18:01:11.463000Z",
  "date_modified": "2026-03-02T18:01:11.463000Z",
  "file_hash": "310a76debd61d8f48469a349aef09182b08e5714abe55f9e692dd57c20c00d0f",
  "private": false,
  "record": {
    "abstract": "We show how to analyze and interpret the correlation structures, the\nconditional expectation values and correlation coefficients of exchangeable\nBernoulli random variables. We study implied default distributions for the\niTraxx-CJ tranches and some popular probabilistic models, including the\nGaussian copula model, Beta binomial distribution model and long-range Ising\nmodel. We interpret the differences in their profiles in terms of the\ncorrelation structures. The implied default distribution has singular\ncorrelation structures, reflecting the credit market implications. We point out\ntwo possible origins of the singular behavior.",
    "arxiv_id": "physics/0609093",
    "authors": [
      "S. Mori",
      "K. Kitsukawa",
      "M. Hisakado"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "doi": "10.1143/JPSJ.77.114802",
    "journal_ref": "J. Phys. Soc. Jpn. 77 (2008) 114802 (7 pages)",
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "title": "Correlation Structures of Correlated Binomial Models and Implied Default   Distribution",
    "url": "https://arxiv.org/abs/physics/0609093"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "415ad701-1454-42ed-bfbc-20ed29405833",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}